The Business Cycle’s Impact on Volatility Forecasting: Recapturing Intrinsic Jump Components

This study investigates the leverage effect and realized volatility (RV) of stocks in the presence of asymmetric jumps across economic expansions and contractions. We extend the heterogeneous autoregressive-realized volatility (HAR-RV) model by incorporating a two-period Markov regime-switching mode...

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Bibliografski detalji

Glavni autori:	Son-Nan Chen, Pao-Peng Hsu
Format:	Artigo
Jezik:	Inglês
Izdano:	MDPI AG 2025-11-01
Serija:	Risks
Teme:	asymmetric jumps business cycle HAR-RV model leverage effect realized volatility
Online pristup:	https://www.mdpi.com/2227-9091/13/11/221
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